The lack of a built in hard drive has forced development problems on a number of games, not the least of which is what GTA4's developers have been talking about for ages.
Forgoing that, what *could* have some of our best games have been like if they were designed with the knowledge that everyone *would* have HDD's? Would Oblivion have been a smoother experience? perhaps without having to load to go in and out of cities?
The only real upshot to having a removable hard drive is the fact that you can 'upgrade" the hard drive, with highly overly expensive Microsoft products.